Jon D. Samuels - Latest - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-28T13:05:28+00:00Forecasting with Many Models: Model Confidence Sets and Forecast Combination
https://www.bankofcanada.ca/2013/04/working-paper-2013-11/
A longstanding finding in the forecasting literature is that averaging forecasts from different models often improves upon forecasts based on a single model, with equal weight averaging working particularly well. This paper analyzes the effects of trimming the set of models prior to averaging.2013-04-23T10:44:31+00:00enForecasting with Many Models: Model Confidence Sets and Forecast Combination2013-04-23Econometric and statistical methodsWorking Paper 2013-11https://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-11.pdfForecasting with Many Models: Model Confidence Sets and Forecast CombinationJon D. SamuelsRodrigo SekkelApril 2013CC5C53